HybridHestonHullWhiteProcess (3) Linux Manual Page

ql/processes/hybridhestonhullwhiteprocess.hpp – hybrid equity (heston model) with stochastic interest rates (hull white model)

Synopsis

#include <ql/processes/hestonprocess.hpp>
#include <ql/processes/hullwhiteprocess.hpp>
#include <ql/processes/jointstochasticprocess.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>

Classes

class HybridHestonHullWhiteProcess
Hybrid Heston Hull-White stochastic process.

Detailed Description

hybrid equity (heston model) with stochastic interest rates (hull white model)

Author

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